103 lines
3.8 KiB
BibTeX
103 lines
3.8 KiB
BibTeX
% Encoding: UTF-8
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@TechReport{adjemian/al:2011,
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author = {Adjemian, St\'ephane and Bastani, Houtan and Juillard, Michel and Karam\'e, Fr\'ederic and Maih, Junior and Mihoubi, Ferhat and Mutschler, Willi and Perendia, George and Pfeifer, Johannes and Ratto, Marco and Villemot, S\'ebastien},
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institution = {CEPREMAP},
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title = {Dynare: Reference Manual Version 4},
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year = {2011},
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number = {1},
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type = {Dynare Working Papers},
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}
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@Article{blanchard/kahn:1980,
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author = {Blanchard, Olivier Jean and Kahn, Charles M.},
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journal = {Econometrica},
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title = {The Solution of Linear Difference Models under Rational Expectations},
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year = {1980},
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month = {7},
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number = {5},
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pages = {1305-11},
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volume = {48},
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abstract = {Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of the yield curve. With each model we trace the response of the yield curve to macroeconomic shocks. We assess the fit of each model against the observed behaviour of interest rates and find limited support for the Calvo-Yun model in terms of fit with the observed yield curve, we find some support for the hybrid model but the Svensson model performs best.},
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doi = {10.2307/1912186},
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keywords = {Macromodels Yield curve Persistence},
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}
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@Article{klein:2000,
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author = {Klein, Paul},
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journal = {Journal of Economic Dynamics and Control},
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title = {Using the generalized {Schur} form to solve a multivariate linear rational expectations model},
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year = {2000},
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month = {September},
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number = {10},
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pages = {1405-1423},
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volume = {24},
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doi = {10.1016/s0165-1889(99)00045-7},
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}
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@Article{schmitt-grohe/uribe:2004,
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author = {Schmitt-Groh\'{e}, Stephanie and Ur\'{i}be, Martin},
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journal = {Journal of Economic Dynamics and Control},
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title = {Solving dynamic general equilibrium models using a second-order approximation to the policy function},
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year = {2004},
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month = {January},
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number = {4},
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pages = {755-775},
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volume = {28},
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doi = {10.1016/s0165-1889(03)00043-5},
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}
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@Article{sims:2001,
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author = {Sims, Christopher A},
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journal = {Computational Economics},
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title = {Solving Linear Rational Expectations Models},
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year = {2002},
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month = {October},
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number = {1-2},
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pages = {1-20},
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volume = {20},
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doi = {10.1023/A:1020517101123},
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}
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@InCollection{uhlig:1999,
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author = {Uhlig, Harald},
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booktitle = {Computational Methods for the Study of Dynamic Economies},
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publisher = {Oxford University Press},
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address = {Oxford},
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title = {A toolkit for analysing nonlinear dynamic stochastic models easily},
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year = {1999},
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editor = {Marimon, Ramon and Scott, Andrew},
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pages = {30-61},
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}
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@techreport{kamenik:2004,
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author = {Kamenik, Ondra},
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title = {Solution of Specialized Sylvester Equation},
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institution = {Manuscript},
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year = {2004}
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}
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@Article{collard/juillard:2001:compecon,
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author = {Collard, Fabrice and Juillard, Michel},
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journal = {Computational Economics},
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title = {A Higher-Order {Taylor} Expansion Approach to Simulation of Stochastic Forward-Looking Models with an Application to a Nonlinear {Phillips} Curve Model},
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year = {2001},
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month = {6},
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number = {2-3},
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pages = {125-139},
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volume = {17},
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doi = {10.1023/A:1011624124377},
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}
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@Book{golub/van-loan:1996,
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author = {Golub, Gene H. and Van Loan, Charles F.},
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publisher = {The John Hopkins University Press},
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title = {Matrix Computations},
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year = {2013},
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address = {Baltimore},
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edition = {4},
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}
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@Comment{jabref-meta: databaseType:bibtex;}
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